Automatic Inference for Infinite Order Vector Autoregressions
Guido Kuersteiner ,
1
( 21 )
Econometric Theory
85-115
February
2005
Abstract

Infinite order vector autoregressive (VAR) models have been used in a number of applications ranging from spectral density estimation, impulse response analysis, tests for cointegration and unit roots, to forecasting. For estimation of such models it is necessary to approximate the infinite order lag structure by finite order VAR’s. In practice, the order of approximation is often selected by information criteria or by general-to-specific specification tests.

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